NEWS
Aurora Fortitude Absolute Return Fund
16 Jul 2014 - Australian Fund Monitors
Aurora Fortitude Absolute Return Fund returned -0.31% during June, its first negative monthly return since January 2013.
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16 Jul 2014 - Aurora Fortitude Absolute Return Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund aims to produce positive returns irrespective of the direction of the share market. For each investment the manager considers the risk, the timeline of that risk occurring and then the potential return. Low transaction costs and liquidity are other important factors in the success and implementation of the strategies. |
| Manager Comments | Lack of volatility remains a feature of most global markets and this continues to be a drain on the Protective Option Strategy (-0.51%). Woodside Petroleum was the most significant draw-down. The Fund took the opportunity through the Shell Energy sell down of 13.6% of the company to establish a position to benefit from a possible re-rating ahead of August profit and dividend announcements whilst still maintaining downside protection. In the current low volatility environment it is not surprising that the Yield Strategy was again the most positive performing section of the portfolio (+0.28%) and that all positions produced positive returns for the month. |
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Pengana Australian Equities Market Neutral Fund
15 Jul 2014 - Australian Fund Monitors
Pengana Australian Equities Market Neutral Fund returned 1.8% during June, a strong turnaround from May, with the annual return 1.89%.
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15 Jul 2014 - Pengana Australian Equities Market Neutral Fund
By: Australian Fund Monitors
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| Fund Overview | The manager's investment approach is premised on the belief that fundamental factors (such as earnings, cash flow and profit growth) affect stock prices, but that the adoption of quantitative techniques (i.e. computer based models) provides an advantage in assimilating and analysing this information, and building an efficient portfolio. The Fund's portfolio is constructed to be 'Market Neutral' i.e. it aims to have little or no overall exposure to movements in the equity market. The aim of low exposure to market movements is to enhance the consistency of the portfolio's performance and to provide diversification from other market oriented investments. |
| Manager Comments | The Fund had a next exposure to the market of 0.5% at month-end with correlation and beta to the market of 0.0 since inception. The return to underlying company fundamentals in June with positive contributions across our main investment factors was not enough to offset a poor quarter. Risk appetite fell over the period as lower risk yield stocks remain in favour, while value was largely ignored with prices being driven up by the chase for quality. Falling market volatility and trade volumes combined with a compression in returns across the 20 underlying alphametrics in the model provided little opportunity for our broader factors to gain any meaningful traction over the quarter. |
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Nanuk Global Alpha Fund
14 Jul 2014 - Australian Fund Monitors
Nanuk Global Alpha Fund returned 1.16% during June, a strong turnaround from May with 12 month performance coming in at 14.83%.
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14 Jul 2014 - Nanuk Global Alpha Fund
By: Australian Fund Monitors
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| Fund Overview | In 2013 Nanuk started to expand the focus of the fund away from just energy and include other industries related to the overarching theme of environmental sustainability, specifically water, waste, recycling, pollution control and agriculture. Nanuk is now investing across a universe in excess of 600 stocks and an aggregate market capitalisation over US$2 trillion. This was a logical move because, while the industries themselves are different, their characteristics and long term drivers are very similar. Nanuk has identified a large, diverse global universe of companies positively exposed to these shifts. Nanuk combines deep fundamental research into these companies with detailed analysis of technological development, policy direction and related economics within each of the relevant sectors to identify profitable trends and opportunities suitable for inclusion in the Fund. Nanuk's principal strategy is to invest, long and short, in securities that are mis-priced on an absolute or relative basis. The Fund aims to achieve long term capital appreciation while reducing volatility of returns and risk of capital loss through appropriate hedging and risk management strategies. |
| Manager Comments | The Fund reported profits coming primarily from long positions in solar and LED stocks which continued to recover from a period of under-performance earlier in the year. At the end of June the Fund's five largest long positions were a Chinese battery manufacturer, a Taiwanese LED chip manufacturer, a Chinese solar cell and module manufacturer and two European lighting equipment business. The fund's five largest short positions included a European wind turbine manufacturer, a US meter manufacturer, a European insulation manufacturer, a European enzyme manufacturer and US electricity utility. |
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Morphic Global Opportunities Fund
11 Jul 2014 - Australian Fund Monitors
Morphic Global Opportunities Fund returned 1.07% during June, ahead of the global equity index at 0.46%, and with financial year performance of 20.81%.
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11 Jul 2014 - Morphic Global Opportunities Fund
By: Australian Fund Monitors
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| Manager Comments | At month-end Fund gross exposure was 132%, net exposure 101% and a VaR of 1.05% (95th percentile with a 1 day holding period using a 1 year look back). The best performing Indian stocks held by the fund were Rural Electrification Corp and Canara Bank. The tactic of writing out of the money calls over a portion of the Fund's positions has been maintained, so as to generate income from the high implied volatility, while still leaving substantial room to participate in the slower share price rises expected from here as the market calms down. Other stock gains came from idiosyncratic stock performance. Japanese printer manufacturer, Seiko Epson, in which the Fund has been building a position, rallied 9.7% after presentations to analysts saw a string of earnings estimate upgrades. Semperit, an Austrian industrial rubber products producer, rose 8.7% after announcing a capacity expansion to take advantage of higher margins. The Fund remains fully invested, with similar levels of low regional biases and a focus on stock specific ideas. The Australian dollar's rally has continued, dampening absolute returns, with the Fund's partial hedge providing some offset. |
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Monash Absolute Investment Fund
10 Jul 2014 - Australian Fund Monitors
Monash Absolute Investment Fund returned -1.01% during June and 23.00% for the financial year.
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10 Jul 2014 - Monash Absolute Investment Fund
By: Australian Fund Monitors
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| Fund Overview | The fund seeks to identify opportunities in the share market to make positive returns (long and short) irrespective of market conditions. It is style agnostic, as compelling investment opportunities exist across all investment styles from time to time. The Fund places a high priority on capital preservation, and has an absolute return focus in accepting market risk. The Manager's experience across value, growth and discounted cash flow styles allows them to use a comprehensive approach to investment decisions that applies all three. They also have the patience to seek out only compelling opportunities, rather than settling for relative value. The portfolio is somewhat concentrated, looking to diversify across industries and themes, rather than by trying to stay near an index. The portfolio may at times have a large amount of cash or other protection. However once investments are made turnover may be relatively high in order to lock in gains and avoid losses. |
| Manager Comments | At month-end the Fund had a gross exposure of 87%, net exposure of 78% and a VaR of 1.1%. In May the fund was down -1.0% after fees against the backdrop of an even weaker Australian equity market. The portfolio was helped by its property and financials related investments and hurt by its technology and early stage product launch investments. In contrast to the previous month there was a lack of news flow and stocks generally drifted. Our net exposure increased somewhat this month as we have begun to add positions ahead of the upcoming results season. |
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The Paragon Fund
8 Jul 2014 - Australian Fund Monitors
In a difficult month for the ASX The Paragon Fund returned a very sound 4.9% bringing 12 month performance to 30.0%.
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8 Jul 2014 - The Paragon Fund
By: Australian Fund Monitors
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| Fund Overview | Paragon accepts that markets are not always efficient in pricing information into securities and that no one investment style works in every stage of the investment cycle. Subsequently Paragon adopts a top down thematic led approach to identify companies exhibiting sustainable or improving returns on capital driven by volume growth, pricing power and competitive advantages. Paragon utilises both quantitative analysis to provide probability weighted high/low/base case valuations and qualitative analysis in assessing management, the business model and likely direction of returns. Paragon will allocate assets to each investment opportunity based on a risk/reward profile. Positions have defined investment parameters and risk limits, which are then monitored on an ongoing basis. |
| Manager Comments | The Fund was 80.9% long and 16.9% short for a net position of 64% at month-end with 24 long positions and 9 short positions. Key drivers of the Paragon Fund performance for June included strong returns from our investment in Liquefied Natural Gas and emerging graphite company Triton Minerals. |
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Optimal Australia Absolute Trust
7 Jul 2014 - Australian Fund Monitors
Optimal Australia's Absolute Trust returned +0.63% in June against the ASX200 which fell -1.5% with the fund's low concentration and risk controls mitigating losses on long positions, while shorts significantly outperformed.
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7 Jul 2014 - Optimal Australia Absolute Trust
By: Australian Fund Monitors
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| Fund Overview | The Fund's bias is likely to be net long under normal market conditions, with the core strategy being to construct a portfolio of listed equity securities priced at levels that do not adequately reflect their underlying value. The Fund will seek to boost returns and limit potential market downside by selective short selling of individual stocks which are priced at levels that are viewed as materially above their underlying value. The Fund will also use certain trading strategies both within its core portfolio (through rebalancing stock weights and overall market exposure in response to price movements) and in certain other situations (typically of a shorter-duration and/or opportunistic nature) with the objective of further increasing returns. |
| Manager Comments | Commenting on the market's negative performance in June, Optimal noted that had it not been for two single day jags of 1.6 and 1.2% respectively the overall market result for the month of June would have been considerably uglier. Optimal has previously noted the warning signs in markets, and believes they are growing rather than diminishing, citing in particular the IPO frenzy, increased M&A activity, and especially recent activity in the credit markets. Optimal sees further evidence of a collapse in sentiment first apparent around the time of the Federal Budget in May leading to more cautious consumers, and companies not investing or hiring. Meanwhile the government is retrenching and cutting expenditure, while the high A$ has further impacted competitiveness and growth. Overall, Optimal feel that a positive outcome on current growth drivers, (and on geopolitical risk) is priced into equity valuations; and a worse outcome, especially coupled with any resumption of inflationary pressure and interest rate normalisation, is very much not. |
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Bennelong Alpha 200 Fund
7 Jul 2014 - Australian Fund Monitors
Bennelong Alpha 200 Fund returned 0.32% in a weak market (ASX 200 Accum - 1.50%).
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7 Jul 2014 - Bennelong Alpha 200 Fund
By: Australian Fund Monitors
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| Fund Overview | The core investment strategy of the Fund consists of the active selection of a series of paired long/short investments in Australian listed equities based upon the Investment Manager's fundamental research. The strategy seeks to capture stock Alpha whilst limiting portfolio exposure to market risk by adopting a dollar neutral portfolio market exposure position with the tactical capability to take net exposure of up to +/- 20% of gross assets. Stock selection is based on fundamental analysis to derive a view of a pair of individual stocks. The Investment Manager is style neutral in determining the stock's positioning. This primary 'pairs' strategy may be enhanced by other complementary strategies, including event driven, security and takeover arbitrage, thematic and momentum trading. The paired stock positions comprise long and short correlated securities that are in most cases simultaneously opened. A portfolio of approximately 30-100 stocks will be selected and actively managed in 15-50 pairs to comprise the core minimum (60%) of the Gross Asset Value. Up to a maximum of 40% of the portfolio's Gross Asset Value may be invested in uncorrelated securities and/or uncovered (long and/or short) positions. These 'satellite' positions are intended to enhance returns and to balance overall portfolio risk. In this regard, the Investment Manager recognises that it is not always possible to achieve a suitable paired profile within the S&P/ASX 200, and that a high conviction long or short stock idea might not always have a suitable pair. |
| Manager Comments | At month-end the Fund was 50.9% long and 49.1% short with month-end leverage of 2.6 times. The fund produced a slightly positive return for the month with the short portfolio generating a positive return in a weak equity market, just compensating for the negative contribution from our long portfolio. At a sector level, Industrials (primarily the Long Austal / Short Spotless pair) and Media made the largest positive contribution. The fund experienced both a positive and a negative impact from the weak consumer environment but overall Retail and Travel made the largest negative sector contributions. Three of our consumer exposed long positions and one our shorts had downgrades to their profit outlook during the month. |
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Microequities Deep Value Microcap Fund
4 Jul 2014 - Australian Fund Monitors
In the first negative month on the ASX since January the Microequities Deep Value Fund returned 1.39% and 31.53% for the year.
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4 Jul 2014 - Microequities Deep Value Microcap Fund
By: Australian Fund Monitors
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| Fund Overview | The objective of the Fund is to identify undervalued Microcap companies, invest in them and, through a medium to long term commitment, attempt to deliver superior investment returns. The Fund invests primarily in ASX listed Microcap companies, which at the time of initial investment are generally below a market capitalisation of A$250 million. The Fund may also invest in companies with a higher market capitalisation, but these will be limited to no more than 20% of the assets of the Fund. At times the Fund may invest in pre-IPO securities that are due to be listed on the ASX within 3-6 months, and have lodged a prospectus with ASIC. These investments will also be limited to no more than 10% of the assets of the Fund. The Fund will be limited to investing no more than 20% of the Fund's assets in any one security or company. The Fund will make investments with a medium to long term time horizon of between 3-5+ years. The Fund will not speculate in derivatives. It will be permitted to hold other securities that are directly associated with a particular investment such as options granted with a specific company issue etc. The Fund will not engage in short selling or stock lending. The Fund will not hold financial debt of any kind. |
| Manager Comments | Since inception in March 2009 the Fund has returned 29.63%, double the ASX 200 return of 14.32% with a slightly higher volatility of 14.97% as compared to the Index volatility of 12.59%. Investors have been rewarded for the higher volatility with a Sharpe ratio of 1.59 and a Sortino ratio of 3.69. Index comparatives statistics are 0.84 and 1.27. Domestically the month has seen a stabilisation in consumer confidence following a post-budget fall. Despite the negative bent in media reporting, the Australian consumer has plenty of good reasons to open their wallets. The labor market is relatively stable, interest rates are near all time lows, property and equity markets have risen, increasing household wealth. On the liabilities side, the GFC saw households take a defensive mindset and reduce their gearing levels. There exists significant pent up demand within Australian households. |
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Fund Review: Bennelong Long Short Fund AFM Fund Review May 2014
3 Jul 2014 - Australian Fund Monitors
Bennelong's Long/Short Equity Fund returned -0.80% in May 2014, a difficult market both globally and in Australia, with a twelve month return of 4.81% (ASX 200 Acc 16.45%).
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3 Jul 2014 - Fund Review: Bennelong Long Short Fund AFM Fund Review May 2014
By: Australian Fund Monitors
BENNELONG LONG SHORT EQUITY FUND
Attached is our most recently updated Fund Review on the Bennelong Long Short Equity Fund.
- The Fund is a research driven, market and sector neutral, "pairs" trading strategy investing primarily in large cap stocks from the ASX/S&P100 Index, with a twelve year track record and annualised net returns of 18.26% pa.
- Since inception in January 2003 the Fund has had positive annual returns each year, including an 11.95% return in 2008 and 20.6% in 2011, both of which were negative years for the ASX200.
- The Fund's risk statistics are also sound with maximum drawdown of 12.22% and 68% positive months. Both the Sharpe Ratio at 1.09 and the Sortino ratio at 1.84, indicate a high reward-to-risk ratio.
- The consistent returns across the investment history indicates the Fund's ability to provide positive returns in volatile and negative markets and significantly outperform the broader market.
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Fund performance was muted for the month as the market drifted without any strong thematic and investors were subject to merger andacquisition activity/speculation, yield/defensive buying and stock specific issues. Our assessment is that the April factors thatnegatively impacted fund returns, which were of a more global nature, were persisting early in the period but since have abated. Fund activitywas limited in May as our view of market fundamentals have not really changed.
Research and Database Manager
Australian Fund Monitors
Bennelong Long Short Equity Fund AFM Review - May 2014 